Past exam of the mathematics course of the University of Cambridge 2012 iii Paper 34 1 d Solution Created 2026-10-03 Updated 2026-10-07
Use the shifted filtration . Each is a stopping time, and the optional sampling theorem implies that is a -martingale. It is -bounded, for example by . Its quadratic variation is . The shifted process is continuous and -adapted, hence predictable. Its boundedness and the integrability of the bracket make the right-hand stochastic integral well-defined in .
For a deterministic partition , use left-endpoint coefficients . Both integrals have the same approximating sumOn the original clock this is the integral of the simple process on the stopping-time intervals ; on the shifted clock it is a deterministic-partition integral. As the mesh tends to zero, continuity of gives pathwise uniform approximation on the random compact interval . The Itô isometry and domination by a constant times the integrable give convergence of both sums. Thus stopping-time shift of a stochastic integral yieldsThe left integral includes increments strictly after , so no jump at the starting time is added.